随机利率下缴费预定型企业年金保险中生存年金精算现值模型

The Life Annuity Models of Defined Contributed Enterprise Annuity Insurance Based on Stochastic Interest Rate

利用时间序列将投资利率为条件稳定AR(1)模型推广为条件稳定AR(p)模型和广义条件AR(p)模型,并根据生存年金理论得到缴费预定型企业年金保险中相应利率下的生存年金精算现值模型,这对解决企业合理发放养老金,避免企业养老基金出现赤字等问题具有重要理论指导意义和实际应用价值。

In this paper, using time series and life annuity theory, we improve the conditional AR(1) model into conditional steady AR(p) model and generalized conditional AR(p) model, furthermore, in defined contributed enterprise annuity insurance, we derive the present value models of life annuity under relevant interest rate using life annuity. These models have important theoretical significance and practical application value for the enterprises in solving proper payment pensions and avoiding the deficit of pension funds.